Adaptation of the nonlinear stochastic filter on the basis of irregular exact measurements

Abstract

The problem of adaptive discrete nonlinear filtration on the basis of irregular exact measurements is solved analytically. The possibility of irregular exact measurements allows to define precisely in a step of their emergence the coefficient of strengthening and coefficient of adaptation of the filter providing a zero error of estimation. Similar reorganization of parameters of an algorithm of estimation increases its convergence sharply that is illustrated by the corresponding example.